Transformation weighted indexes offering concentrated multi-risk factor exposure

Abstract

Computer-based systems, software, and computer-implemented methods for creating an index of securities based upon various data transformations of risk factor metrics regarding entities or securities associated with the entities and weighting each index member in proportion to its combined transformed weighting value.

What is claimed is: 
     
         1 . Non-transitory computer-readable storage media encoded with a computer program including instructions executable by a processor to create an application comprising:
 a. a software module configured to select a universe of securities or receive input indicating a universe of securities;   b. a software module configured to select one or more security risk factor metrics or receive input indicating one or more security risk factor metrics;   c. a software module configured to create an index, the index comprising a plurality of member securities selected from the universe of securities, each member security having a weight in the index;   provided that selection of member securities and the weight in the index of each member security is determined by applying one or more data transformations to the one or more security risk factor metrics for each security in the universe of securities according to the following formula:
     w   i   =[f ( m ) 1   *f ( m ) 2    . . . f ( m ) q ] i   /Σ[f ( m ) 1   *f ( m ) 2    . . . f ( m ) q ] n    
   wherein i is a given security,   wherein w is the weight of a security in the index,   wherein m is a security risk factor metric,   wherein n is the number of member securities in an index,   wherein f(m) 1  is a transformed weighting value of a first security risk factor metric,   wherein f(m) 2  is a transformed weighting value of a second security risk factor metric,   wherein f(m) q  is a transformed weighting value of an ultimate security risk factor metric, and   wherein * is a mathematical operation to be performed on transformed security risk factor metrics.   
     
     
         2 . The storage media of  claim 1 , wherein the one or more security risk factor metrics include a non-numeric datum for which a value or score has been substituted. 
     
     
         3 . The storage media of  claim 1 , wherein the one or more data transformations are selected from: a binary transformation, inverse transformation, linear transformation, log transformation, percentile transformation, power transformation, rank transformation, root transformation, or variance-stabilization transformation. 
     
     
         4 . The storage media of  claim 1 , wherein the weight of a security in the index is determined by applying one or more subsequent data transformations to one or more of the transformed weighting values. 
     
     
         5 . The storage media of  claim 1 , wherein the mathematical operation to be performed on transformed security risk factor metrics is selected from: multiplication, division, addition, subtraction, an average, weighted average, or a median. 
     
     
         6 . The storage media of  claim 1 , wherein the application further comprises a software module configured to update the values of the one or more security risk factor metrics for each security in the universe of securities. 
     
     
         7 . The storage media of  claim 6 , wherein the application further comprises a software module configured to add or remove securities from the index by re-applying the one or more data transformations to the updated one or more security risk factor metrics for each security in the universe of securities. 
     
     
         8 . The storage media of  claim 6 , wherein the application further comprises a software module configured to update the weight of securities in the index by re-applying the one or more data transformations to the updated one or more security risk factor metrics for each security in the universe of securities. 
     
     
         9 . A computer-implemented method comprising the steps of:
 a. creating an index of securities, by a processor, by selecting securities from a universe of securities to be index members based upon one or more data transformations of one or more security risk factor metrics regarding entities or securities associated with the entities; and   b. weighting each index member, by a processor, based upon dividing said one or more data transformations by the sum of said one or more data transformation for all said index members.   
     
     
         10 . The method of  claim 9 , wherein the one or more security risk factor metrics are for the most recent period, an average over any time period, a change over any time period, or the variance over any time period. 
     
     
         11 . The method of  claim 9 , wherein the one or more data transformations comprise: conversion of a set of numerical or non-numerical data into a transformed data set by the application of a binary transformation, inverse transformation, a linear transformation, a log transformation, a percentile transformation, a power transformation, a rank transformation, a root transformation, or a variance-stabilization transformation. 
     
     
         12 . The method of  claim 9 , wherein selecting securities as index members comprises:
 a. calculating, by a processor, for each entity associated with a security in the universe of securities, a first transformed weighting value based upon a security risk factor metric;   b. calculating, by a processor, one or more additional transformed weighting values based upon one or more security risk factor metrics;   c. calculating, by a processor, a combined transformed weighting value specific to each entity associated with a security by applying a mathematical relationship to all said one or more transformed weighting values; and   d. selecting, by a processor, a subset of securities from the universe of securities to be index members based upon said combined transformed weighting value.   
     
     
         13 . The method of  claim 9 , wherein weighting each index member comprises:
 a. calculating, by a processor, a first transformed weighting value based upon a security risk factor metric for each index member;   b. calculating, by a processor, one or more additional transformed weighting values based upon one or more security risk factor metrics for each index member;   c. calculating, by a processor, a combined transformed weighting value specific to each entity associated with a security by applying a mathematical relationship to all said one or more transformed weighting values;   d. calculating, by a processor, a weighting percentage by dividing said combined transformed weighting value by the sum of said combined transformed weighting values of all index members; and   e. weighting, by a processor, each index member in proportion to said weighting percentage.   
     
     
         14 . The method of  claim 9 , further comprising the step of maintaining the index at periodic time intervals, by a processor, wherein maintaining comprises: adding and removing securities index members based upon one or more data transformations of one or more security risk factor metrics regarding entities or securities associated with the entities. 
     
     
         15 . The method of  claim 9 , further comprising the step of maintaining the index at periodic time intervals, by a processor, wherein maintaining comprises: adjusting weightings of index members based upon dividing said one or more data transformations by the sum of said one or more data transformation for all said index members. 
     
     
         16 . A computer-implemented system comprising:
 a. a digital processing device comprising an operating system configured to perform executable instructions and a memory device;   b. a computer program including instructions executable by the digital processing device to create an application comprising:
 i. a software module configured to create an index of securities by selecting securities from a universe of securities to be index members based upon one or more data transformations of one or more security risk factor metrics regarding entities or securities associated with the entities; and 
 ii. a software module configured to weight each index member based upon dividing said one or more data transformations by the sum of said one or more data transformations for all said index members. 
   
     
     
         17 . The system of  claim 16 , wherein the one or more data transformations comprise: conversion of a set of numerical or non-numerical data into a transformed data set by the application of a binary transformation, inverse transformation, a linear transformation, a log transformation, a percentile transformation, a power transformation, a rank transformation, a root transformation, or a variance-stabilization transformation. 
     
     
         18 . The system of  claim 16 , wherein selecting securities as index members comprises:
 a. calculating for each entity associated with a security in the universe of securities, a first transformed weighting value based upon a security risk factor metric;   b. calculating one or more additional transformed weighting values based upon one or more security risk factor metrics;   c. calculating a combined transformed weighting value specific to each entity associated with a security by applying a mathematical relationship to all said one or more transformed weighting values; and   d. selecting a subset of securities from the universe of securities to be index members based upon said combined transformed weighting value.   
     
     
         19 . The system of  claim 16 , wherein weighting the index members comprises:
 a. calculating a first transformed weighting value based upon a security risk factor metric for each index member;   b. calculating one or more additional transformed weighting values based upon one or more security risk factor metrics for each index member;   c. calculating a combined transformed weighting value specific to each entity associated with a security by applying a mathematical relationship to all said one or more transformed weighting values;   d. calculating a weighting percentage by said combined transformed weighting value by the sum of said combined transformed weighting values of all index members; and   e. weighting each index member in proportion to said weighting percentage.   
     
     
         20 . The system of  claim 16 , wherein the application further comprises a software module configured to maintain the index at periodic time intervals, wherein maintaining comprises: adding and removing securities index members based upon one or more data transformations of one or more security risk factor metrics regarding entities or securities associated with the entities and adjusting weightings of index members based upon dividing said one or more data transformations by the sum of said one or more data transformations for all said index members.